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Portfolio Diversification Benefits in Southeast Asian Stock Markets for Turkish Investors

Author

Listed:
  • Souhaila Guedira

    (Department of Islamic Economics and Finance, Graduate Education Institute)

  • Mohamed Ariff

    (School of Graduate and Professional Studies, International Centre for Education in Islamic Finance (INCEIF))

Abstract

This study is a pioneering attempt at investigating portfolio diversification benefits available to the Turkish conventional and Shari’ah-compliant investors in the Southeast Asian conventional and Islamic stock markets at different investment horizons. We use multivariate-generalized autoregressive conditional heteroscedastic (MGARCH-DCC) and wavelet approaches. The results suggest that the Malaysian stock market offers substantial diversification benefits for the Turkish conventional and Islamic investors, especially for the short-run investment horizons up to 16 days, as well as for long-term investment periods exceeding 128 days. In addition, Turkish conventional investors could also consider investing in Thailand Islamic equities in short-run holding periods up to 16 days. As for the medium investment horizons from 16 to 128 days, it is advisable for the Turkish investors to avoid investing in all the equities because of very low diversification benefits.

Suggested Citation

  • Souhaila Guedira & Mohamed Ariff, 2020. "Portfolio Diversification Benefits in Southeast Asian Stock Markets for Turkish Investors," Malaysian Journal of Economic Studies, Faculty of Business and Economics, University of Malaya & Malaysian Economic Association, vol. 57(2), pages 275-304, December.
    • Handle: RePEc:mjr:journl:v:57:y:2020:i:2:p:275-304
    DOI: 10.22452/MJES.vol57no2.6
    as

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    More about this item

    Keywords

    International portfolio diversification; Islamic stock market investments; MGARCH-DCC; Southeast Asia; Turkey; wavelets;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements

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